Multi-Factor Bottom-Up Model for Pricing Credit Derivatives

In this note we continue the study of the stress event model, a simple and intuitive dynamic model for credit risky portfolios, proposed by Duffie and Singleton (1999). The model is a bottom-up version of the multi-factor portfolio credit model proposed by Longstaff and Rajan (2008). By a novel identification of independence conditions, we are able to decompose the loss distribution into a series expansion which not only provides a clear picture of the characteristics of the loss distribution but also suggests a fast and accurate approximation for it. Our approach has three important features: (i) it is able to match the standard CDS index tranche prices and the underlying CDS spreads, (ii) the computational speed of the loss distribution is very fast, comparable to that of the Gaussian copula, (iii) the computational cost for additional factors is mild, allowing for more flexibility for calibrations and opening the possibility of studying multi-factor default dependence of a portfolio via a bottom-up approach. We demonstrate the tractability and efficiency of our approach by calibrating it to investment grade CDS index tranches.credit derivatives, CDO, bottom-up approach, multi-name, intensity-based, risk and portfolio.

Double-dot charge transport in Si single electron/hole transistors

We studied transport through ultra-small Si quantum dot transistors fabricated from silicon-on-insulator wafers. At high temperatures, 4K<T<100K, the devices show single-electron or single-hole transport through the lithographically defined dot. At T<4K, current through the devices is characterized by multidot transport. From the analysis of the transport in samples with double-dot characteristics, we conclude that extra dots are formed inside the thermally grown gate oxide which surrounds the lithographically defined dot.Comment: 4 pages, 5 figures, to appear in Appl. Phys. Let

Magnetically-induced reconstructions of the ground state in a few-electron Si quantum dot

We report unexpected fluctuations in the positions of Coulomb blockade peaks at high magnetic fields in a small Si quantum dot. The fluctuations have a distinctive saw-tooth pattern: as a function of magnetic field, linear shifts of peak positions are compensated by abrupt jumps in the opposite direction. The linear shifts have large slopes, suggesting formation of the ground state with a non-zero angular momentum. The value of the momentum is found to be well defined, despite the absence of the rotational symmetry in the dot.Comment: 5 pages, 4 figures, accepted to PR

Thermodynamical Properties of Hall Systems

We study quantum Hall effect within the framework of a newly proposed approach, which captures the principal results of some proposals. This can be established by considering a system of particles living on the non-commutative plane in the presence of an electromagnetic field and quantum statistical mechanically investigate its basic features. Solving the eigenvalue equation, we analytically derive the energy levels and the corresponding wavefunctions. These will be used, at low temperature and weak electric field, to determine the thermodynamical potential \Omega^{nc} and related physical quantities. Varying \Omega^{nc} with respect to the non-commutativity parameter \theta, we define a new function that can be interpreted as a \Omega^{nc} density. Evaluating the particle number, we show that the Hall conductivity of the system is \theta-dependent. This allows us to make contact with quantum Hall effect by offering different interpretations. We study the high temperature regime and discuss the magnetism of the system. We finally show that at \theta=2l_B^2, the system is sharing some common features with the Laughlin theory.Comment: 20 pages, misprints correcte